Monday, February 7, 2011

Derivatives Flow Recap

Macro / Thematic

IWM - 50,000 March 77 puts were bought and 100,000 March 73 puts sold, setting up a 1X2 put ratio spread for a $0.07 net debit. A bit earlier, a March 72 - 75 - 78 put fly was bought for $0.26, 20,000X. Both look like downside hedges through the March expiration, with the vertical spread offering a max pay-off if shares fall below $73 (9.4%) and the fly bracing for a move towards $75, (or 6.9%).

XLB - Size put buyers to open: 30k June 38 puts for 1.37.

XLF - September 16 puts 18,000 bought to open.

XOP - March 50 Puts 8000 sold at .19

Consumer

DF – 14,000 puts traded in Dean Foods today with the February 10 and March 10 puts seeing the most volume. The company reports February 16thbefore the market open.

GCI – Bullish flow in Gannett today with over 28,500 calls and 3400 puts trading today. The relative strength and bullish flow in the newspaper publisher is possibly in reaction to AOL's move to buy news web site Huffington Post.

F - 4,170 Feb 16 calls were apparently sold at $0.45 to buy the June 16 / 20 call spread for $1.16, 4170x. The three-way spread looks like a roll of a bullish position from February to June.

K – Bullish flow: 2000 of the June 50 / 55 risk reversals traded today with the June 55 calls being bought and the June 50 puts being sold.

EK – Almost 7900 of the February 4 calls traded today including a bullish multi exchange sweep of 2158 for $0.07.

SLE - Pre-earnings bullish trading with someone buying ~5000 February 17 calls for .40 and the July 17 puts have been sold a total of ~2000x.

Energy

HAL – Bullish flow: 1750 January’12 55.0 Calls were bought for $2.78

SLB – Bearish flow: 4000 May 65 puts were bought for $0.49

Financials

BPOP – 20,000July 3 / January 3.5 put spread were sold at $0.34. This is likely a roll of 20,000 July 3 puts that were sold early in December.

Followers

This is trade analysis, not a recommendation.

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